主 题: Optimal Order Execution
报告人: Prof. Jim Gatheral (Baruch College, CUNY)
时 间: 2014-11-03 13:00-14:00
地 点: 北京大学理科一号楼1560教室（主持人：程雪）
We review various models of market impact. We use variational calculus to derive optimal execution strategies, noting that in many conventional models, static strategies are dynamically optimal. We then present a model in which the optimal strategy does depend on the stock price and derive an explicit closed-form solution for this strategy by solving the HJB equation. We exhibit closed-form solutions for particular choices of market impact model, indicating modeling choices for which market manipulation is unlikely to be a problem. We present an argument by Toth et al. justifying the well-known square-root formula for market impact. Assuming price dynamics that are consistent with the square-root formula, we suggest likely properties of optimal execution strategies in the real world.
About the speaker (报告人简介): Jim Gatheral is professor of mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute, NYU. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.
